Program Requirements and Schedule
Program Requirements
The program is designed to be completed by students in three semesters. It will begin with a late-summer orientation session and proceed through three successive semesters, utilizing the winter intersession of the first year and the summer prior to the last semester, for an internship with industry.
The Program includes the completion of the following formal requirements. A more detailed discussion of each item is provided.
• Core financial mathematics requirements (4 courses)
550.442 Investment Science
550.444 Introduction to Financial Derivatives
550.445 Interest Rate and Credit Derivatives
550.448 Financial Engineering and Structured Products or 550.446 Risk Measurement/Management in Financial Markets
• Core applied mathematics requirements (5 courses)
550.427 Stochastic Processes and Applications to Finance
550.433 Monte Carlo Methods
550.413 Applied Statistics and Data Analysis
550.439 Time Series Analysis
550.461 Optimization in Finance
One course in Applied Mathematics and Statistics
One course in Financial Mathematics
One additional course with prior program approval
• Financial Mathematics Masters Seminar
• Computing requirement (includes the Topics in Financial Computing Workshop)
Every student must complete training on the responsible and ethical conduct of research, if applicable. (Please see WSE Policy on the Responsible Conduct of Research.)
Every student must complete training on academic ethics.
An overall GPA of 3.0 must be maintained in courses used to meet the program requirements. At most two course grades of C or C+ are allowed to be used, and the rest of the course grades must be B- or better.
Substitutions and exceptions are permitted at the discretion of the Department Chair.
Program Schedule
These requirements will normally be completed according to the following schedule:
Prior to Fall Semester of Year I (2 weeks)
Fall Semester of Year I
550.427 Stochastic Processes and Applications to Finance
550.433 Monte Carlo Methods
550.442 Investment Science
550.444 Introduction to Financial Derivatives
550.647 Financial Mathematics Masters Seminar
Winter Intersession (2 weeks)
Financial Computing Workshop
Communications Skills Practicum
Spring Semester of Year I
550.439 Time Series Analysis
550.445 Interest Rate and Credit Derivatives
550.448 Financial Engineering and Structured Products (**optional, see below)
Elective 1
550.647 Financial Mathematics Masters Seminar
Summer after Year I
Internship
Fall Semester of Year II
550.413 Applied Statistics and Data Analysis
550.446 Risk Measurement/Management in Financial Markets (**optional if 550.448 was already taken, see below)
550.461 Optimization in Finance
Elective 2
Elective 3
550.647 Financial Mathematics Masters Seminar
**Students must take either 550.446 or 550.448 to fulfill their core requirements. If both courses are taken, one of them can count as a Financial Mathematics Elective.